Glossary

Annualized net yields which assumes dividends are not reinvested in the fund

30-DAY NET CURRENT YIELD

The 30-day current yield are annualized net yields that describes 1-year earnings assuming dividends are reinvested at the average rate of the last 30 days.

5 YEAR EPS GROWTH (%)

The 5 year Earnings Per Share (EPS) growth rate is the weighted average of earnings per share growth for all securities in the portfolio projected for the past five fiscal years. Earnings per share for a company is defined as total earnings divided by shares outstanding.

7-DAY CURRENT YIELD SUBSIDIZED (%)

The 7-day current yield subsidized is an annualized net yield which assumes dividends are not reinvested in the fund.

A

A1+/P1

A1+/P1 - short-term credit ratings provided by Moody’s and S&P.

A1/P1

A1/P1 – short-term credit ratings provided by Moody’s and S&P.

ACTIVE SHARE (%)

Active Share is a measure of the percentage of stock holdings in a managers portfolio that differ from the benchmark index (based on holdings and weight of holdings). Active Share scores range from 0%-100%. A score of 100% means you are completely different from the benchmark. Active Share calculation may consolidate holdings with the same economic exposure.

AGENCY CMBS

An agency commercial mortgage-backed security (CMBS) is a type of mortgage-backed security that is secured by loans on commercial properties that are issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae or any other United States federal government-sponsored enterprise (GSE) or a United States federal government agency.

AGENCY RMBS

An agency residential-mortgage backed security (RMBS) is a type of mortgage-backed security that is secured by loans on residential properties that are issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae, or any other United States federal government-sponsored enterprise (GSE) or a United States federal government agency.

ALPHA (JENSEN’S)

Alpha (Jensen's) is a risk-adjusted performance measure that represents the average return on a portfolio or investment above or below that predicted by the capital asset pricing model (CAPM) given the portfolio's or investment's beta and the average market return. Prior to 6/30/2018 Alpha was calculated as the excess return of the fund versus benchmark.

ASSET BACKED COMMERCIAL PAPER

Asset backed commercial paper – Short-term debt that has a fixed maturity of up to 270 days and is backed by some financial asset, such as trade receivables, consumer debt receivables, or auto and equipment loans or leases.

ASSET BACKED SECURITIES (ABS)

An asset-backed security (ABS) is a financial security backed by a loan, lease or receivables against assets other than real estate and mortgage-backed securities issues.

AVERAGE MATURITY (%)

Average maturity – weighted average of the maturities of the underlying securities in the portfolio.

AVERAGE QUALITY

Average quality – average credit quality gives a snapshot of the portfolio's overall credit quality. It is an average of each security’s credit rating, adjusted for its relative weighting in the portfolio.

AVERAGE YIELD TO MATURITY (%)

Average yield to maturity measures the annual return on interest-bearing securities. In this it is assumed that they will be held to maturity. This metric includes both the coupon payments received during the term of the security and the repayment of the capital on maturity.

B

BANKING

The banking sector is the section of the economy devoted to the holding of financial assets for others, investing those financial assets as leverage to create more wealth, and the regulation of those activities by government agencies.

BASIC INDUSTRY

Basic industry sector includes industrial sector companies that relate to the manufacture or distribution of goods, and export all or nearly all of their production.

BASIC MATERIALS

Basic material sector includes companies that manufacture chemicals, building materials and paper products. This sector also includes companies engaged in commodities exploration and processing.

BETA

Beta is a measure of the relative volatility of a fund to the market’s upward or downward movements. A beta greater than 1.0 identifies an issue or fund that will move more than the market, while a beta less than 1.0 identifies an issue or fund that will move less than the market. The Beta of the Market is always equal to 1.

BLOOMBERG

Bloomberg stands for 'Bloomberg Global Identifier (BBGID)'. This is a unique 12 digit alphanumerical code designed to enable the identification of securities, such as the Morgan Stanley Investment Funds sub-funds at share class level, on a Bloomberg Terminal. The Bloomberg Terminal, a system provided by Bloomberg L.P., enables analysts to access and analyse real-time financial market data. Each Bloomberg code starts with the same BBG prefix, followed by nine further characters that we list here in this guide for each share class of each fund.

C

CASH

Cash is defined as the value of assets that can be converted into cash immediately.

CASH & EQUIVALENTS

Cash & Equivalents are defined as the value of assets that can be converted into cash immediately. These include commercial paper, open FX transactions, Treasury bills and other short-term instruments. Such instruments are considered cash equivalents because they are deemed liquid and not subject to significant risk of changes in values.

CASH DEPOSITS

Cash deposits – cash held on balance sheet at a bank or financial institution.

CERTIFICATE OF DEPOSIT

Certificate of Deposit - A document issued by a bank or other financial institution that is evidence of a deposit, with the issuer’s promise to return the deposit plus earnings at a specified interest rate within a specified time period.

CMBS

Commercial mortgage-backed securities (CMBS) are a type of mortgage-backed security that is secured by mortgages on commercial properties, instead of residential real estate.

COMMERCIAL PAPER

Commercial Paper - Unsecured short-term corporate debt that is characterized by a single payment at maturity.

COMMERCIAL PAPER - INTEREST BEARING

Commercial Paper- Interest Bearing - Unsecured short-term corporate debt that is characterized by a single payment at maturity that earns interest.

CONSUMER

The consumer sector consists of companies that relate to items and services purchased by individuals rather than by manufacturers and industries.

CONSUMER CYCLICAL

Consumer cyclicals are a category of bonds that rely heavily on the business cycle and economic conditions, and include industries such as automotive, housing, entertainment and retail.

CONSUMER NON-CYCLICAL

The non-cyclical consumer goods and services economic sector consists of companies engaged in fishing and farming operations; the processing and production of food, beverages and tobacco; manufacturers of household and personal products; and providers of personal services.

CONVERSION PREMIUM

Conversion Premium is the amount by which the price of a convertible security exceeds the current market value of the common stock into which it may be converted.

CONVERTIBLE BONDS

Convertible bonds are bonds which have the right but not the obligation to convert into a specified number of ordinary shares (or other securities) under specified terms and conditions.

CORPORATE AND SOVEREIGN VARIABLE AND FIXED RATE BONDS

Corporate and sovereign variable and fixed rate bonds – Variable bonds are bonds with floating coupon payments that are adjusted at specific intervals. Fixed rate bonds are long term debt paper that carry a predetermined interest rate.

CORPORATE BOND

Corporate Bond - A corporate bond is a debt security issued by a corporation backed by the payment ability of the company, which is typically money to be earned from future operations. In some cases, the company's physical assets may be used as collateral for bonds. Corporate bonds are considered higher risk than government bonds and hence interest rates are generally higher.

CORPORATE DEBT

A debt security issued by a corporation backed by the payment ability of the company, which is typically money to be earned from future operations.

CORPORATES

A corporate bond is a debt security issued by a corporation and sold to investors.

CURRENCY RISK

Currency risk - The currency market is highly volatile. Prices in these markets are influenced by, among other things, changing supply and demand for a particular currency; trade; fiscal, money and domestic or foreign exchange control programs and policies; and changes in domestic and foreign interest rates.

CURRENT YIELD (%)

Current Yield is a measure that looks at the current price of a bond instead of its face value and represents the return an investor would expect if he or she purchased the bond and held it for a year. Calculated by dividing the Annual Cash Inflows / Market Price.

CUSIP

CUSIP stands for 'Committee on Uniform Securities Identification Procedures'. It is a unique six-digit alphanumerical code, issued in North America, to enable the identification of securities.

D

D/E WEIGHTED MEDIAN (%)

Debt/equity (D/E) is a measure of a company’s financial leverage calculated by dividing its total liabilities by stockholders’ equity.

DAILY LIQUID ASSETS (%)

Amended rule 2a-7(a)(8) (defining “daily liquid asset” to mean (i) cash; (ii) direct obligations of the U.S. Government; and (iii) securities that will mature or are subject to a demand feature that is exercisable and payable within one business day).

DEALING DEADLINE

Dealing Deadline - the cut-off time for the applications for subscription, exchange or redemption of Shares in a Fund, as specified in “Fund Particulars.”

DELTA (EQUITY SENSITIVITY)

Delta is the ratio of the change in price of an option to the change in price of the underlying asset.

DEVELOPED MARKETS SOVEREIGN

Developed markets sovereign debt is issued by a developed nation's national government in a foreign currency in order to finance the issuing country's growth and development.

DISTRIBUTED YIELD (%)

Distributed Yield is an aggregate of the previous four quarter-end dividend rates per share expressed as a percentage of the average of the quarter-ends' NAVs per share.

DIVERSIFIED

Companies that are diversified across multiple sectors.

DIVIDEND INCOME

Dividend income is distributed to shareholders of the Fund on a quarterly basis. The latest dividend income is the amount stated in USD distributed per share to shareholders of the Fund on stated paid date.

DIVIDEND YIELD (%)

Dividend yield is the ratio between how much a company pays out in dividends each year relative to its share price.

DOWN-CAPTURE RATIO (%)

Down Capture Ratio is a statistical measure of an investment manager’s overall performance in down-markets. Downside capture indicates how correlated a fund is to a market, when the market declines.

DURATION (YEARS)

Duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices.

E

EFFECTIVE EQUITY EXPOSURE

Effective equity exposure is the sum of two components: equity exposure from the fund’s actual equity holdings plus synthetic equity exposure created by the selling of put options on major equity indices.

EMERGING MARKET GOVERNMENT RELATED

Emerging market government related debt is debt issued in an emerging market by an issuer with full or partial government ownership or control, special charter, or a public policy mandate from the national, regional or local government.

EMERGING MARKET HIGH YIELD INDUSTRIAL

Emerging market high-yield industrial debt is debt issued by a company in an emerging market that focuses on the goods-producing segment of an economy, including agriculture, construction, fisheries, forestry and manufacturing. A high-yield bond has been given a rating by a high-yield bond rating firm; bonds rated less than Baa3 by Moody's or BBB- by S&P or Fitch are considered high-yield bonds. A high-yield corporate bond is a type of corporate bond that offers a higher rate of interest because of its higher risk of default.

EXCESS RETURN (%)

Excess Return or value added (positive or negative) is the portfolio’s return relative to the return of the benchmark.

F

FINANCE COMPANIES

Financial companies are those that provide financial services to commercial and retail customers; this sector includes banks, investment funds, insurance companies and real estate.

FINANCIAL OTHER

Financial companies not including those providing financial services such as banks, investment funds, insurance companies, and real estate.

FLOATING RATE NOTE

Floating Rate Note - A debt instrument with a variable rate of interest that resets at specified intervals at a predetermined spread to an index or formula.

FREE CASH FLOW YIELD (NEXT 12 MONTHS) (%)

Free cash flow yield (Next 12 months) is a financial ratio that measures a company's operating free cash flow minus its capital expenditures per share and dividing by its price per share. Free cash flow yield ratio is calculated by using the underlying securities of the fund.

Government Bonds - Bonds issued by the U.S. Government, typically regarded as the highest-grade securities issues with the least amount of default risk.

GOVERNMENT OBLIGATIONS

Direct obligations of, or obligations the principal of and interest on which are unconditionally guaranteed by the United States of America.

H

HIGH YIELD CORPORATES/BANK LOANS

A high-yield corporate bond is a type of corporate bond that offers a higher rate of interest because of its higher risk of default. Bank loans are the extension of money from a bank to another party with the agreement that the money will be repaid.

Information ratio is the portfolio’s alpha or excess return per unit of risk, as measured by tracking error, versus the portfolio’s benchmark.

INFRASTRUCTURE

Infrastructure debt is issued to support the basic physical systems of a business or nation.

INTEREST RATE DURATION (YEARS)

Interest Rate Duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years.

INVESTMENT GRADE CORPORATES

Investment grade is a rating, given by a bond rating firm, that indicates a corporate bond has a relatively low risk of default.

ISIN

ISIN is the international securities identification number (ISIN), a 12 digit code consisting of numbers and letters that distinctly identifies securities.

L

LOW VOLATILITY NET ASSET VALUE MMF (LVNAV)

Low Volatility Net Asset Value (LVNAV) MMF - a MMF qualifying and authorised as a LVNAV MMF in accordance with MMF Regulation which seeks to maintain a stable NAV under the condition that the stable NAV does not deviate from the Net Asset Value per Share by more than 20 basis points. In case of a deviation of more than 20 basis points between the stable NAV and the Net Asset Value per Share, the following redemption or issue of Shares shall be undertaken at a price that is equal to the Net Asset Value per Share.

M

MAX ENTRY CHARGE

Entry Charge is a maximum possible figure. In some cases you might pay less, you can find this out from your financial adviser.

MAXIMUM INVESTMENT MATURITY

Maximum investment maturity – represents the maximum days to maturity permitted for investments in the portfolio.

MONEY MARKET INSTRUMENTS

A highly liquid short-­term debt instrument with a high credit rating. Examples include certificates of deposit, commercial paper, banker's acceptances and Treasury bills.

MORTGAGE SECURITIES

A mortgage-backed security (MBS) is a type of asset-backed security that is secured by a mortgage or collection of mortgages.

N

NAV

NAV is the Net Asset Value per share of the Fund (NAV), which represents the value of the assets of a fund less its liabilities.

NET CASH TO EQUITY (%)

Net cash to equity is the ratio of a company’s cash on hand against the total net worth of the company.

NON AGENCY CMBS

Non-agency commercial mortgage-backed securities (CMBS) are a type of mortgage-backed security that is secured by loans on commercial properties that are not issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae, or any other United States federal government-sponsored enterprise (GSE) or a United States federal government agency.

NON AGENCY RMBS

Non-agency residential mortgage-backed securities (RMBS) are a type of mortgage-backed security that is secured by loans on residential properties that are not issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae, or any other United States federal government-sponsored enterprise (GSE) or a United States federal government agency.

NON-US ABS

A non-U.S. asset-backed security (ABS) is a financial security backed by a loan, lease or receivables against assets other than real estate and mortgage-backed securities issues and issued outside of the U.S.

NON-US CMBS

Non-U.S. commercial mortgage-backed securities (CMBS) are a type of mortgage-backed security that is secured by mortgages on commercial properties, instead of residential real estate and which are issued outside U.S.

NON-US DEVELOPED MARKET HIGH YIELD FINANCIAL

Non-U.S. developed market high-yield financial bonds are high-yield bonds issued by companies that provide financial services to commercial and retail customers, and that are domiciled in developed countries, excluding the U.S.

NON-US DEVELOPED MARKET HIGH YIELD INDUSTRIAL

Non-U.S. developed market high-yield industrial bonds are high-yield bonds issued by companies that manufacture or distribute goods, and that are domiciled in developed countries, excluding the U.S.

NON-US DEVELOPED MARKET NON-HIGH YIELD INDUSTRIAL

Non-U.S. developed market non-high-yield industrial bonds are non-high-yield bonds issued by companies that manufacture or distribute goods, and that are domiciled in developed countries, excluding the U.S.

NON-US GOVERNMENT

Non-U.S. government debt is debt that has been issued or guaranteed by a national government, excluding the U.S. government.

NON-US RMBS

Non-U.S. residential mortgage-backed securities (RMBS) are a type of mortgage-backed debt obligation whose cash flows come from residential debt, such as mortgages, home-equity loans and subprime mortgages not issued in United States.

NUMBER OF HOLDINGS

Number of holdings provided are a typical range, not a maximum number. The portfolio may exceed this from time to time due to market conditions and outstanding trades.

O

ONGOING CHARGES

Ongoing Charges reflect the payments and expenses incurred during the fund's operation and are deducted from the assets of the fund over the period. It includes fees paid for investment management (Management Fee), trustee/custodian, and administration charges.

OTHER

Other illustrates allocations not included in the other rows illustrated in the chart.

OTHER TRI-PARTY REPO

Other Tri-Party Repo – A repurchase agreement in which a third party agent, such as a clearing bank, acts as an intermediary to facilitate the exchange of cash and collateral between the two counterparties.

P

PRICE/BOOK

Price/book (P/BV) compares a stock's market value to the book value per share of total assets less total liabilities. This number is used to judge whether a stock is undervalued or overvalued.

PRICE/CASH FLOW

Price/cash flow (P/CF) is a ratio used to compare a company's market value to its cash flow. It is calculated by dividing the company's per-share stock price by the per-share operating cash flow.

PRICE/EARNINGS

Price/earnings (P/E) is the price of a stock divided by its earnings per share for the past 12 months. Sometimes called the multiple, P/E gives investors an idea of how much they are paying for a company’s earning power. The higher the P/E, the more investors are paying, and therefore the more earnings growth they are expecting.

PUBLIC DEBT CONSTANT NET ASSET VALUE MMF (PDCNAV)

Public Debt Constant Net Asset Value (PDCNAV) MMF - a MMF qualifying and authorised as a PDCNAV MMF in accordance with MMF Regulation which seeks to maintain a stable NAV and invests 99.5% of its assets in money market instruments issued or guaranteed by sovereign entities, reverse repurchase agreements secured with government debt and cash.

PULP & PAPER

The pulp and paper industry comprises companies that use wood as raw material and produce pulp, paper, paperboard and other cellulose-based products.

Q

QUASI-SOVEREIGN

Quasi-sovereign debt is normally defined as ‘quasi-sovereign’ if a government owns either more than 50% of its equity or more than 50% of the company’s voting rights.

R

R SQUARED

R squared measures how well an investment’s returns correlate to an index. An R squared of 1.00 means the portfolio performance is 100% correlated to the index’s, whereas a low r-squared means that the portfolio performance is less correlated to the index’s.

RENEWABLES

Renewables are companies that deal in renewable resources: those that can be used repeatedly and replenished naturally.

REPURCHASE AGREEMENTS

Repurchase agreements - A form of collateralized loan involving the sale of a security with a simultaneous agreement by the seller to buy the same security back from the purchaser at an agreed-on price and future date. The party who sells the security at the inception of the repurchase agreement and buys it back at maturity is borrowing money from the other party, and the security sold and subsequently repurchased represents the collateral.

RESIDENTIAL

Residential property is used or suitable for use as a dwelling or is in the process of being constructed or adapted for use as a dwelling.

RETAIL

Retail sector consists of companies that sell goods through stores, on the internet, etc. to the public.

RETURN ON CAPITAL (%)

Return on capital is a measure of a company’s efficiency at allocating the capital under its control to profitable investments, calculated by dividing net income minus dividends by total capital.

RETURN ON EQUITY (%)

Return on equity (ROE) is the amount of net income returned as a percentage of shareholders equity. Return on equity measures a corporation's profitability by revealing how much profit a company generates with the money shareholders have invested.

Sales growth is the increase in sales over a specific period of time, often but not necessarily annually.

SECURITIZED

Securitized refers to the process of pooling financial assets together to create new securities that can be marketed and sold to investors.

SELF STORAGE

Self storage (a shorthand for "self-service storage", and also known as "mini storage") is an industry in which storage space (such as rooms, lockers, containers, and/or outdoor space), also known as "storage units" is rented to tenants, usually on a short-term basis (often month-to-month). Self-storage tenants include businesses and individuals.

SHARPE RATIO

Sharpe ratio is a risk-adjusted measure calculated as the ratio of excess return to standard deviation. The Sharpe ratio determines reward per unit of risk. The higher the Sharpe ratio, the better the historical risk-adjusted performance.

SOVEREIGN

Sovereign debt is issued by a national government in a foreign currency in order to finance the issuing country's growth and development.

T

TARGET INCOME

Target income is reviewed annually and is announced at the beginning of each calendar year. We expect the underlying portfolio, driven by our asset allocation methodology, to generate a natural income of around 2.5% p.a. This may come from dividends on equities or coupons on fixed income instruments. We estimate that by selling put options on major equity indices, the Fund can generate additional income of approximately 3.5% p.a., resulting in a total annual income of 6%. Where this income is paid from the capital, the result will be a reduction of the capital that the Fund has available for investment.

TECHNOLOGY

The technology sector is the category of stocks relating to the research, development and/or distribution of technologically based goods and services.

TIME DEPOSIT

Time Deposit - A deposit in an interest¬-paying account that requires the money to remain in the account for a specific length of time, often overnight.

TMT

The TMT sector consists of companies that offer goods and services in the technology, media and telecommunication sectors.

TOLL ROAD

The Toll road sector comprises of companies that earn cash flow from a public or private road for which a fee (or toll) is assessed for passage, also known as a turnpike or tollway.

TOTAL EXPENSE RATIO

Total expenses (TER) charged to the share class for the current reporting month, calculated net of any waivers and expressed as an annualised percentage of average net assets for the month.

TRACKING ERROR (%)

Tracking error is the standard deviation of the difference between the returns of an investment and its benchmark.

TREASURY BILL

Treasury Bill - An obligation of the U.S. government with a maturity of one year or less. T-bills bear no interest but are sold at a discount.

TREASURY NOTE

Treasury Note - government-debt security with a coupon and original maturity of one to 10 years.

TRI-PARTY REPO

Tri-Party Repo - Repurchase agreement in which a third party is responsible for the management of the collateral during the life of the transaction.

TURNOVER (%)

Turnover is a measure of how frequently assets within a fund are bought and sold by the managers. Turnover is calculated by taking either the total amount of new securities purchased or the amount of securities sold - whichever is less - over a particular period, divided by the total net asset value of the fund.

U.S. asset-backed securities (ABS) are financial securities backed by a loan, lease or receivables against assets other than real estate and mortgage-backed securities issues, and issued in the U.S.

US AGENCY CMBS

A U.S. agency commercial mortgage-backed security (CMBS) is a type of mortgage-backed security that is secured by loans on commercial properties that are issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae or any other United States federal government-sponsored enterprise (GSE) or a United States federal government agency.

US AGENCY CMOS

U.S. agency collateralized mortgage obligations (CMO) refer to a type of mortgage-backed security that contains a pool of mortgages bundled together and sold as an investment. They are issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae or any other United States federal government-sponsored enterprise (GSE) or a United States federal government agency.

US AGENCY PASSTHROUGHS

U.S. agency pass-through securities are backed by assets or debt; in an agency pass-through security, a government agency reduces the risk of default to the pass-through holder by guaranteeing payment.

US GOVERNMENT/AGENCY

U.S. government/agency debt is issued or guaranteed by the United States federal government or Fannie Mae, Freddie Mac or Ginnie Mae, or any other United States federal government-sponsored enterprise (GSE) or a United States federal government agency.

US HIGH YIELD FINANCIAL

U.S. high-yield financial bonds are high-yield bonds issued by companies that provide financial services to commercial and retail customers, and that are domiciled in the U.S.

US HIGH YIELD INDUSTRIAL

U.S. high-yield industrial bonds are high-yield bonds issued by companies that manufacture or distribute goods, and that are domiciled in the U.S.

US HIGH YIELD UTILITY

U.S. high-yield utility bonds are high-yield bonds issued by companies that provide utilities such as gas and power. The sector contains companies such as electric, gas and water companies.

US NON-AGENCY CMBS

U.S. non-agency commercial mortgage-backed securities (CMBS) are a type of mortgage-backed security that is secured by loans on commercial properties that are not issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae, or any other United States federal government-sponsored enterprise (GSE) or a United States federal government agency.

US NON-AGENCY RMBS

U.S. non-agency residential mortgage-backed securities (RMBS) are a type of mortgage-backed security that is secured by loans on residential properties that are not issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae, or any other United States federal government-sponsored enterprise (GSE) or a United States federal government agency.

US NON-HIGH YIELD INDUSTRIAL

U.S. non-high-yield industrial bonds are non-high-yield bonds issued by companies that manufacture or distribute goods, and that are domiciled in the U.S.

US UNRATED CORPORATES

U.S. unrated corporate are U.S. bonds with issuers that have not received a credit rating from one or more of the major credit rating agencies.

V

VARIABLE NET ASSET VALUE MMF (VNAV)

Variable Net Asset Value (VNAV) MMF - a MMF qualifying and authorised as a VNAV MMF in accordance with MMF Regulation in which shares are issued or redeemed at a price that is equal to the Fund’s Net Asset Value per Share.

VOLATILITY (STANDARD DEVIATION) (%)

Volatility (Standard deviation) measures how widely individual performance returns, within a performance series, are dispersed from the average or mean value.

W

WEEKLY LIQUID ASSETS (%)

Amended rule 2a-7(a)(32) (defining “weekly liquid assets” to mean (i) cash; (ii) direct obligations of the U.S. Government; (iii) Government securities issued by a person controlled or supervised by and acting as an instrumentality of the Government of the United States pursuant to authority granted by the Congress of the United States, that are issued at a discount to the principal amount to be repaid at maturity and have a remaining maturity of 60 days or less; and (iv) securities that will mature or are subject to a demand feature that is exercisable and payable within five business days).

WEIGHTED AVERAGE LIFE (WAL)

Weighted average life (WAL) – measures the weighted average of the maturities of the portfolio’s individual holdings.

WEIGHTED AVERAGE MARKET CAPITALIZATION ($B)

Weighted average market capitalization is an average of the market capitalization of stocks comprising a portfolio or index, adjusted by each stock’s weight in the portfolio or index.

WEIGHTED AVERAGE MATURITY (WAM)

Weighted average maturity (WAM) – measures the weighted average of the maturities of the portfolio's individual holdings, taking into account reset dates for floating rate securities.

WEIGHTED MEDIAN MARKET CAPITALIZATION ($B)

Weighted median market capitalization is the point at which half of the market value of a portfolio or index is invested in stocks with a greater market cap, while the other half of the market value is invested in stocks with a lower market cap.

Y

YIELD

Yields are subject to change with economic conditions. Yield is only one factor that should be considered when making an investment decision.

YIELD TO WORST (%)

Yield to Worst is the lowest potential yield that can be received on a bond without the issuer actually defaulting. The yield to worst is calculated by making worst-case scenario assumptions on the issue by calculating the returns that would be received if provisions, including prepayment, call or sinking fund, are used by the issuer.

Please be aware that liquidity instruments may be subject to certain additional risks. Fixed-income securities are subject to the ability of an issuer to make timely principal and interest payments (credit risk), changes in interest rates (interest-rate risk), the creditworthiness of the issuer and general market liquidity (market risk). In a rising interest-rate environment, bond prices may fall. In a declining interest-rate environment, the portfolio may generate less income.

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